Optimal and robust noncausal filter formulations

  title={Optimal and robust noncausal filter formulations},
  author={Garry Allan Einicke},
  journal={IEEE Transactions on Signal Processing},
The paper describes an optimal minimum-variance noncausal filter or fixed-interval smoother. The optimal solution involves a cascade of a Kalman predictor and an adjoint Kalman predictor. A robust smoother involving H/sub /spl infin// predictors is also described. Filter asymptotes are developed for output estimation and input estimation problems which yield bounds on the spectrum of the estimation error. These bounds lead to a priori estimates for the scalar /spl gamma/ in the H/sub /spl infin… CONTINUE READING
Highly Cited
This paper has 26 citations. REVIEW CITATIONS